CALX Options History — March 2014

In March 2014, CALX traded between $7.93 and $9.03. ATM implied volatility averaged 38.5%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 1.4% (HV 20d: 37.1%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.06.

Notable Days

2014-03-06: Highest Volume — 91 contracts
2014-03-10: Largest IV spike — 63.9% change
2014-03-10: Highest IV Rank — 51.5%
2014-03-03: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.60	$7.93	$9.03	$7.93	$8.43
Max Pain	$9.52	$7.50	$10.00	$7.50	$10.00
ATM IV	38.5%	28.4%	54.9%	48.8%	36.1%
Expected Move	10.3%	7.4%	14.0%	14.0%	10.4%
HV 20d	37.1%	30.4%	44.0%	38.9%	34.3%
HV 60d	38.5%	35.7%	39.7%	35.7%	39.4%
IV Rank	19.5%	0.0%	51.5%	39.6%	15.1%
IV Percentile	19.5%	0.0%	78.2%	58.3%	10.7%
Term Structure	6.9%	-11.5%	22.1%	-3.4%	8.2%
VWIV	35.7%	27.7%	44.7%	44.7%	34.4%
Skew 25d	2.9%	-12.0%	19.4%	4.2%	-0.7%
Skew 10d	4.8%	-18.3%	42.3%	5.4%	-1.3%
Call IV 25d	33.5%	23.9%	44.8%	44.8%	35.6%
Put IV 25d	36.4%	25.4%	50.7%	49.0%	34.9%
Bid-Ask Spread %	92.95	31.43	102.83	89.65	95.79
Gamma HHI	0.64	0.54	0.84	0.73	0.78
Net GEX	-11.4K	-12.6K	-10.7K	-12.6K	-10.9K
Net DEX	428.1K	276.1K	600.1K	600.1K	496.4K
Net VEX	-2.6K	-3.1K	-2.1K	-2.7K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.00	0.69	0.69	0.00
Total Volume	15.429	0	91	49	0
Total OI	2,623.571	2,560	2,691	2,560	2,595

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-03-03	$7.93	$7.50	48.8%	14.0%	38.9%	39.6%	0.0%	4.2%	-3.4%	-12.6K	600.1K	-2.7K	0.69	89.65	29	20	899	1,661
2014-03-04	$8.14	$7.50	39.7%	11.4%	39.9%	21.8%	0.0%	13.7%	15.1%	-12.6K	555.1K	-2.8K	0.00	31.43	0	0	911	1,681
2014-03-05	$8.27	$7.50	33.1%	9.5%	39.8%	8.8%	0.0%	-2.3%	11.0%	-12.3K	520.8K	-2.8K	0.00	89.46	7	0	911	1,681
2014-03-06	$8.72	$7.50	40.3%	11.5%	43.6%	22.9%	44.7%	2.8%	-11.5%	-11.4K	396.3K	-2.9K	0.08	62.09	84	7	918	1,681
2014-03-07	$8.78	$10.00	33.5%	10.5%	42.9%	9.6%	33.4%	5.3%	2.1%	-10.7K	357.4K	-3.1K	0.10	89.65	20	2	962	1,683
2014-03-10	$8.57	$10.00	54.9%	9.4%	44.0%	51.5%	27.7%	-0.6%	8.6%	-11.3K	443.9K	-2.6K	0.00	102.23	0	5	962	1,683
2014-03-11	$8.65	$10.00	48.5%	7.4%	42.7%	39.0%	0.0%	2.7%	19.2%	-11.8K	428.5K	-2.7K	0.00	93.99	2	0	962	1,683
2014-03-12	$8.89	$10.00	44.4%	9.4%	43.4%	30.8%	37.8%	-12.0%	6.5%	-11.4K	362.2K	-2.7K	0.00	96.55	32	0	962	1,683
2014-03-13	$8.70	$10.00	35.2%	10.1%	37.3%	12.9%	0.0%	5.4%	10.2%	-11.4K	417.2K	-2.5K	0.00	101.82	6	0	968	1,683
2014-03-14	$8.71	$10.00	33.7%	9.7%	37.3%	9.9%	0.0%	0.0%	5.9%	-11.0K	408.3K	-2.5K	0.00	95.38	0	0	968	1,683
2014-03-17	$8.88	$10.00	35.8%	10.3%	37.5%	14.1%	32.4%	10.7%	19.6%	-12.1K	348.5K	-2.7K	0.00	95.24	15	0	968	1,683
2014-03-18	$8.96	$10.00	34.9%	10.0%	37.4%	12.3%	39.2%	-2.4%	3.5%	-11.3K	318.9K	-2.6K	0.00	101.64	27	0	981	1,683
2014-03-19	$9.03	$10.00	36.3%	10.4%	36.3%	15.1%	0.0%	19.4%	21.6%	-11.0K	276.1K	-2.8K	0.00	102.83	0	0	1,008	1,683
2014-03-20	$8.99	$10.00	31.9%	9.1%	30.4%	6.4%	35.8%	0.5%	7.3%	-11.3K	321.2K	-2.5K	0.00	100.66	29	0	993	1,683
2014-03-21	$8.89	$10.00	33.5%	9.6%	30.6%	9.7%	35.5%	1.1%	4.7%	-11.5K	343.0K	-2.5K	0.00	101.21	20	0	989	1,683
2014-03-24	$8.73	$10.00	37.5%	10.8%	30.9%	17.5%	34.4%	13.1%	-1.3%	-11.6K	433.5K	-2.3K	0.00	101.61	5	0	965	1,620
2014-03-25	$8.61	$10.00	40.9%	11.7%	31.3%	24.2%	0.0%	7.5%	-9.6%	-11.0K	443.1K	-2.3K	0.00	101.74	4	0	961	1,620
2014-03-26	$8.32	$10.00	45.9%	13.2%	33.7%	33.9%	0.0%	-2.6%	-5.4%	-11.1K	471.9K	-2.4K	0.00	101.94	0	0	965	1,620
2014-03-27	$8.15	$10.00	36.2%	10.4%	33.9%	14.8%	0.0%	-4.4%	11.3%	-10.7K	523.0K	-2.2K	0.00	101.85	0	0	965	1,620
2014-03-28	$8.30	$10.00	28.4%	8.1%	34.0%	0.0%	0.0%	-1.0%	22.1%	-10.9K	524.6K	-2.1K	0.00	95.29	10	0	965	1,620
2014-03-31	$8.43	$10.00	36.1%	10.4%	34.3%	15.1%	0.0%	-0.7%	8.2%	-10.9K	496.4K	-2.2K	0.00	95.79	0	0	975	1,620